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CANADA: Further Hawkish Adjustment In Rates Post BoC Decision

CANADA
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  • 2Y GoC yields have extended the post-BoC climb to 9.5bps now vs 2.5bp for Tsys over the same period.
  • It sees a ~7bp narrowing in the Can-US 2Y differential (both post-decision and on the day) to -119bps, away from multi-decade lows.
  • BoC-dated OIS prices 18-19bp of cuts for the Jan 29 decision (assuming a similar 4bp spread over the overnight rate target). The actual implied rate has only increased ~4bps post-decision as it also allows for the catch-up from today’s 50bp cut only being 45bp priced.
  • CORRA contracts see implied yields as much as 10bps higher for 2025/early 2026 contracts, with the Dec’25 pointing to ~63bp of cumulative cuts. 

  • The press conference with Gov Macklem and Senior Dep Gov Rogers follows in less than 5mins. https://www.bankofcanada.ca/multimedia/press-conference-policy-rate-announcement-december-2024/


     

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  • 2Y GoC yields have extended the post-BoC climb to 9.5bps now vs 2.5bp for Tsys over the same period.
  • It sees a ~7bp narrowing in the Can-US 2Y differential (both post-decision and on the day) to -119bps, away from multi-decade lows.
  • BoC-dated OIS prices 18-19bp of cuts for the Jan 29 decision (assuming a similar 4bp spread over the overnight rate target). The actual implied rate has only increased ~4bps post-decision as it also allows for the catch-up from today’s 50bp cut only being 45bp priced.
  • CORRA contracts see implied yields as much as 10bps higher for 2025/early 2026 contracts, with the Dec’25 pointing to ~63bp of cumulative cuts. 

  • The press conference with Gov Macklem and Senior Dep Gov Rogers follows in less than 5mins. https://www.bankofcanada.ca/multimedia/press-conference-policy-rate-announcement-december-2024/